Streaming Koenker studentized Breusch\–Pagan test

Evaluates Koenker's studentized variant of the Breusch\–Pagan test (the \(n R^2\) statistic from regressing the squared residuals on the regressors) using streamed cross-products so that large datasets can be processed without allocating the full auxiliary regression matrix.

Usage

performKoenkerTestStreaming(model, data, chunk_size = 10000, progress = interactive())

Arguments

model

A fitted stats::lm object supplying residuals and fitted values for the diagnostic.

data

A base::data.frame containing the variables referenced in model. The data must align with the observations used to fit the model.

chunk_size

Positive integer giving the number of observations processed per streaming chunk.

progress

Logical flag indicating whether a textual progress bar should be shown while processing the chunks. Defaults to interactive().

Value

A htest object equivalent to performKoenkerTest with metadata recording the streaming configuration.

Details

Chunks of the data contribute to the cross-product matrices for the regression of squared residuals on the model regressors. Aggregating these matrices yields the exact Koenker statistic while bounding memory usage. Sparse cross-products from Matrix are used automatically when available for large chunks.

See also

performKoenkerTest for the standard implementation.

Examples

data(mtcars)
mod <- lm(mpg ~ wt + qsec, data = mtcars)
performKoenkerTestStreaming(mod, mtcars, chunk_size = 16, progress = FALSE)
#> 
#> 	Koenker studentized Breusch-Pagan test (streaming)
#> 
#> data:  mpg ~ wt + qsec
#> X-squared = 3.0858, df = 2, p-value = 0.2138
#>